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Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books : a multivariate nonparametric approach
Gaißer, Sandra Caterina; Memmel, Christoph; Schmidt, Rafael - 2009
From a banking supervisory perspective, this paper analyses aspects of market risk of an aggregated trading portfolio comprised of the trading books of 11 German banks with a regulatory approved internal market risk model. Based on real, clean profit and loss data and Value-at-Risk estimates of...
Persistent link: https://www.econbiz.de/10003846947
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Time Dynamic and Hierarchical Dependence Modelling of an Aggregated Portfolio of Trading Books : A Multivariate Nonparametric Approach
Gaisser, Sandra - 2016
From a banking supervisory perspective, this paper analyses aspects of market risk of an aggregated trading portfolio comprised of the trading books of 11 German banks with a regulatory approved internal market risk model. Based on real, clean profit and loss data and Value-at-Risk estimates of...
Persistent link: https://www.econbiz.de/10012989258
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Statistical test for the mathematical theory of democracy
Tanguiane, Andranick S. - 2012
hypothesis. The test is developed for single parties and coalitions of two or three parties. It is illustrated with an estimation …
Persistent link: https://www.econbiz.de/10009505438
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Testing the presence of implicit hiring quotas with application to German universities
Janys, Lena - 2022
Women are underrepresented in academia in general and economics in particular. I introduce a test to detect an under-researched form of hiring bias: implicit quotas. I derive a test under the null hypothesis of gender-blind hiring that requires no additional information about individual hires...
Persistent link: https://www.econbiz.de/10013194261
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Tender prices in local bus transport in Germany : an application of alternative regression techniques
Beck, Arne; Walter, Matthias - 2010
Competitive tendering of local bus services in Germany has received increased attention. Employing Seemingly Unrelated Regression analyses, we observe that prices have regionally varying determinants; for example, while prices throughout most of the federal state of Hesse increase over time,...
Persistent link: https://www.econbiz.de/10008758445
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The day-of-the-week effect revisited : an alternative testing approach
Alt, Raimund; Fortin, Ines; Weinberger, Simon - 2002
This paper questions traditional approaches for testing the day-of-the-week effect on stock returns. We propose an alternative approach based on the closure test principle introduced by Marcus, Peritz and Gabriel (1976), which has become very popular in Biometrics and Medical Statistics. We test...
Persistent link: https://www.econbiz.de/10009725480
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The day-of-the-week effect revisited : an alternative testing approach
Alt, Raimund; Fortin, Ines; Weinberger, Simon - 2002
Persistent link: https://www.econbiz.de/10001736260
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Estimation and Testing for Varying Coefficients in Additive Models with Marginal Integration
Yang, Lijian - 2017
We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate … regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence … as univariate function estimation. For the test statistic, asymptotic normal theory is established. These theoretical …
Persistent link: https://www.econbiz.de/10012966219
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Monetary Policy, Parameter Uncertainty and Optimal Learning
Wieland, Volker - 1999
tradeoff between estimation and control arises because policy actions influence estimation and provide information which may … estimation significantly improves stabilization performance and reduces the likelihood of inflationary bias …
Persistent link: https://www.econbiz.de/10014178888
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Customer reactions in Out-of-Stock situations : do promotion-induced phantom positions alleviate the similarity substitution hypothsis?
Diels, Jana Luisa; Wiebach, Nicole - 2011
Out-of-Stock (OOS) is a prevalent problem customers face at the POS. In this paper, we demonstrate both theoretically and empirically how OOS-induced substitution patterns can be explained and predicted by means of context and phantom theory. We further analyze the relevance of promotions, for...
Persistent link: https://www.econbiz.de/10008989876